Lucena Research

Lucena Strategies

Tutorials & Brochures

Clone a security, or a portfolio based on its time series performance.

Lucena’s portfolio replicator is designed to clone a security, or a portfolio based on its time series performance. The replicator can infer which assets make up a hidden portfolio and also the allocation of funds to each asset. How can the portfolio replicator be used?

Find the top 10 holdings of a mutual fund, ETF or index.

Recreate the performance of an international stock using U.S. assets.

Uncover the detailed makeup of a mutual fund, ETF, or other multi-asset investment.

Track the performance of a major index using a small basket of stocks.

You are one click away from all those solutions. The replicator can also clone synthetic portfolios. For instance if you are interested in finding a portfolio that has outperformed the market, the replicator can build a portfolio that tracks the S&P 500 but with a positive skew. With the replicator, finding this portfolio is as simple as setting an outperformance goal and clicking “go”. Within seconds, QuantDesk® presents you with a set of securities and their allocations that best tracks your target performance time series while minimizing tracking error.

In order to allow the portfolio replicator additional flexibility, many of our users elect to have a long/short allocation goal in their target replica. Depending on your mandate, the “ideal replica” may include long only, long/short or even short-only positions. Replicating a long time series with short constituents can provide ideas for the short leg in statistical arbitrage based models.

An example of replicating XLE with a 5% outperformance bias. The blue line represents the origin ETF (XLE), The target time series is depicted in green and the resulting replication is depicted in orange.

How It Works

An example of replicating the Dow by identifying the most prominent 10 positions from the S&P 500.

Load your portfolio or ticker:
In order to replicate your portfolio or security, QuantDesk® must first know the historical time-series pattern so that it can uncover which securities and their allocations best track it. It is also possible to upload a CSV history of prices.

Set up your replication whitelist and goals:
Identify the security basket from which the replicator can choose (whitelist). Set up allocation restrictions, target beta, and whether your target portfolio is a long only / short only / or a combination of long & short constituents.

Click “replicate”:
Within seconds you will be presented with a list of securities from your whitelist and allocations that best track your target time series. A graphical representation is also provided depicting your source, target and replication time series.